Commercial Banking Risk Management: Regulation in the Wake of the Financial Crisis

ISBN-13: 9781137594419 / Angielski / Twarda / 2016 / 429 str.

Weidong Tian

Opis

It covers all important commercial banking risk management topics, including market risk, counterparty credit risk, liquidity risk, operational risk, fair lending risk, model risk, stress test, and CCAR from practical aspects.

Spis treści

PART I: REGULATORY CAPITAL AND MARKET RISK

1. Regulatory Capital in Basel III; Weidong Tian

2. Market Risk Modeling Framework under Basel; Han Zhang

PART II: COUNTERPARTY CREDIT RISK

3. IMM Approach for Managing Counterparty Credit Risk; Deming Zhuang

4. XVAs in the Wake of the Financial Crisis; John Carpenter

PART III: LIQUIDITY RISK, OPERATIONAL RISK, AND FAIR LENDING RISK

5. Liquidity Risk Management; Larry Li

6. Operational Risk Management; Todd Pleune

7. Fair Lending Risk Management; Maia Berkane

PART IV: MODEL RISK MANAGEMENT

8. Caveat Numerus: How Business Leaders Can Make Quantitative Models More Useful; Jeffrey Gerlach, James B. Oldroyd

9. Model Risk Management under the Current Environment; Dong (Tony) Yang 

PART V: STRESS TEST AND CCAR

10. The Effects of Macroeconomic Scenarios in Forecasting; Steven Zhu

11. Estimating the Impact of Model Limitations in Capital Stress Testing; Brain A. Todd, Douglas Gardner, Valeriu (Adi) Omer

PART VI: MODERN RISK MANAGEMENT TOOLS

12. Quantitative Risk Management Tools for Practitioners; Roy E. DeMeo

13. Modern Simulation Tools for Risk Management; Yimin Yang

PART VII: RISK MANAGEMENT AND TECHNOLOGY

14. GRC Technology Introduction; Jeff Recor, Hong Xu

15. GRC Technical Fundamentals; Jeff Recor, Hong Xu

PART VIII: RISK MANAGEMENT CHALLENGES AND FUTURE DIRECTIONS

16. Quantitative Finance in the Post Crisis Financial Environment; Kevin Oden

O autorze

Weidong Tian is Professor of Finance and Distinguished Professor of Risk Management and Insurance at the University of North Carolina at Charlotte, USA. Prior to coming to UNC Charlotte, Tian served as a faculty member at the University of Waterloo, Canada, and a visiting scholar at the Sloan School of Management at the Massachusetts Institute of Technology, USA. He also held various positions in financial institutions.

Contributors

Maia Berkane, Wells Fargo & Co.

John Carpenter, Bank of America

Roy E. DeMeo, Wells Fargo & Co.

Douglas Gardner, Bank of the West

Jeffrey Gerlach, Federal Reserve of Richmond

Larry Li, JPMorgan Chase

Kevin Oden, Wells Fargo & Co.

James B. Oldroyd, Brigham Young University

Valeriu (Adi) Omer, Bank of the West

Todd Pleune, Protiviti

Jeff Recor, Grant Thornton

Brain A. Todd, Bank of the West

Hong Xu, AIG

Dong (Tony) Yang

Yimin Yang, Protiviti

Han Zhang, Wells Fargo & Co., USA

Steven Zhu, Bank of America

Deming Zhuang, Citigroup

Blurb

This edited collection comprehensively addresses the widespread regulatory challenges uncovered and changes introduced in financial markets following the 2007-2008 crisis, suggesting strategies by which financial institutions can comply with stringent new regulations and adapt to the pressures of close supervision while responsibly managing risk. It covers all important commercial banking risk management topics, including market risk, counterparty credit risk, liquidity risk, operational risk, fair lending risk, model risk, stress test, and CCAR from practical aspects. It also covers major components of enterprise risk management, a modern capital requirement framework, and the data technology used to help manage risk. Each chapter is written by an authority who is actively engaged with large commercial banks, consulting firms, auditing firms, regulatory agencies, and universities. This collection will be a trusted resource for anyone working in or studying the commercial banking industry.